Sparse and Robust Reject Option Classifier using Successive Linear Programming
In this paper, we propose a new sparse and robust reject option classifier based on minimization of l_1 regularized risk under double ramp loss L_dr,ρ. We use DC programming to find the risk minimizer. The algorithm solves a sequence of linear programs to learn the reject option classifier. Moreover, we show that the risk under L_dr,ρ is minimized by generalized Bayes classifier in the reject option setting. We also provide the excess risk bound for L_dr,ρ. We show the effectiveness of the proposed approach by experimenting it on several real world datasets.
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